I went to clean out my message box and tried to delete old conversation. I clicked on the little boxes of the conversations I wanted to delete, and clicked the delete button. It deleted most of what I wanted it to, and some I didn't check and wanted to keep. It also took three tries to delete all the ones I wanted to delete.

Veks has made it very clear you should never delete messages when viewing them from conversation mode as it tends to be glitchy. It would delete the entire conversation, not just the single message you selected, if that's the case.

If you go into another type of PM viewer before deleting messages you shouldn't run into the same trouble in future. I don't know if anything lost is salvageable but you could always ask Veks, if there were important messages you needed in the ones that disappeared.